It could just be a pimple, you can get them anywhere on your body.
Sounds like boils, which are larget and more painful then the normal pimple. Go to webmd and look up information on boils and how to treat them. Most people opt to treat them at home with hotpacks to get them to come to a head faster and lessen the pain.
While you are waiting for it to get to that point, you can put a bandage over it which will lessen the pain you feel when you are walking and moving. After you bandage it, apply powder to your thighs.
Buy a antibacterial soap to wash with, and when it pops apply a sanitizer to the area..like antibacterial soap or that liquid stuff people use for their hands when they cant use soap and water..DO NOT PUT THIS STUFF ON THE OPEN SORE!!!!!